You can’t make one of the WordPress generated menu items unlinked, but you can achieve the same effect by building the menu yourself from scratch like I showed Daniel below. Then instead of adding a link to the HREF, just leave it blank.
It would have just included regular HTML for a menu, but instead of having URL’s for links, they were just blank like this:
[code:2nt6otcm]<li><a href="">dead link</a></li>[/code:2nt6otcm]